The Order Imbalances feed will disseminate two message types for opening and closing imbalances. Both sets of messages will include the security symbols, whether imbalances were on the bid or ask side, the paired quantity in shares and the imbalance quantity in shares, with millisecond timestamps. The closing imbalance message also includes the last sale price at market close, whereas the opening imbalance message includes the previous trading day's last sale price.
Opening imbalance messages
Anthony and James talk about how regulators in the US are falling behind other nations' regulators, the lack of talk about Reg AT, and an SRO for cryptocurrencies.Subscribe to Weekly Wrap emails